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BACKGROUND: Dysthymia is a form of chronic mild depression that has a complex relationship with major depressive disorder (MDD). Here we investigate the role of environmental risk factors, including stressful life events and parenting style, in patients with both MDD and dysthymia. We ask whether these risk factors act in the same way in MDD with and without dysthymia. RESULTS: We examined the clinical features in 5,950 Han Chinese women with MDD between 30-60 years of age across China. We confirmed earlier results by replicating prior analyses in 3,950 new MDD cases. There were no significant differences between the two data sets. We identified sixteen stressful life events that significantly increase the risk of dysthymia, given the presence of MDD. Low parental warmth, from either mother or father, increases the risk of dysthymia. Highly threatening but short-lived threats (such as rape) are more specific for MDD than dysthymia. While for MDD more severe life events show the largest odds ratio versus controls, this was not seen for cases of MDD with or without dysthymia. CONCLUSIONS: There are increased rates of stressful life events in MDD with dysthymia, but the impact of life events on susceptibility to dysthymia with MDD differs from that seen for MDD alone. The pattern does not fit a simple dose-response relationship, suggesting that there are moderating factors involved in the relationship between environmental precipitants and the onset of dysthymia. It is possible that severe life events in childhood events index a general susceptibility to chronic depression, rather than acting specifically as risk factors for dysthymia.